Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0027 |
| Annualized Std Dev | 0.1174 |
| Annualized Sharpe (Rf=0%) | 0.0226 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5532.0000 |
| NAs | 1.0000 |
| Minimum | -0.1188 |
| Quartile 1 | -0.0030 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0036 |
| Maximum | 0.0784 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0074 |
| Skewness | -0.5714 |
| Kurtosis | 25.4961 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0054 |
| Gain Deviation | 0.0054 |
| Loss Deviation | 0.0061 |
| Downside Deviation (MAR=210%) | 0.0108 |
| Downside Deviation (Rf=0%) | 0.0054 |
| Downside Deviation (0%) | 0.0054 |
| Maximum Drawdown | 0.4639 |
| Historical VaR (95%) | -0.0105 |
| Historical ES (95%) | -0.0177 |
| Modified VaR (95%) | -0.0095 |
| Modified ES (95%) | -0.0095 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-23 | 2008-12-16 | 2010-08-16 | -0.4639 | 1596 | 1178 | 418 |
| 2016-08-09 | 2020-03-19 | NA | -0.3778 | 1162 | 909 | NA |
| 2012-12-07 | 2013-09-11 | 2016-08-08 | -0.2862 | 923 | 191 | 732 |
| 1999-01-05 | 1999-12-28 | 2003-06-09 | -0.2434 | 1076 | 237 | 839 |
| 2010-09-01 | 2011-01-14 | 2011-12-19 | -0.1914 | 329 | 95 | 234 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.9 | 0.5 | 0 | -0.5 | 0.5 | 0 | -0.5 | 0 | -0.5 | 0 | 1.1 | 1.7 | 3.3 |
| 2000 | -0.6 | 0 | -0.6 | 0 | 0.6 | 0 | -0.5 | 0.5 | 0 | 0 | 0 | 0 | -0.6 |
| 2001 | 0.1 | -0.5 | 0.5 | -1.3 | 0 | 0 | 0.1 | 0.6 | 0.8 | 0.2 | 0.1 | 0.2 | 0.8 |
| 2002 | 0 | -0.2 | 0.1 | 0.6 | 0.2 | -0.2 | -0.7 | -0.7 | 0.1 | -0.8 | 0.5 | 0.8 | -0.3 |
| 2003 | 0.5 | -0.6 | 0.5 | 0.1 | 0.2 | -0.1 | -0.9 | 0.8 | 0.1 | 0.4 | 0.8 | 0.7 | 2.5 |
| 2004 | 0.1 | 0.6 | -0.1 | -0.2 | -0.3 | -1.3 | 1.2 | -0.1 | 0 | 0.2 | -1.2 | 0 | -1.1 |
| 2005 | -0.5 | -0.2 | 0.5 | 0.4 | 0.6 | -0.1 | 0 | -0.1 | 0.1 | -0.7 | -0.1 | 0.4 | 0.2 |
| 2006 | 0.9 | 0.1 | 0.4 | -0.8 | 0.9 | 0.8 | -0.3 | 0.2 | 0.1 | -0.1 | 1.6 | 0.6 | 4.4 |
| 2007 | -0.6 | 0.1 | 0.1 | 0.1 | -0.2 | 0.3 | -0.4 | 0.1 | 0.4 | 0.6 | 0.9 | 1.8 | 3.3 |
| 2008 | 0.6 | -1.8 | 0.2 | 0.5 | -0.4 | 0.1 | 0.1 | 0.2 | -0.3 | -1.9 | -2.2 | -0.7 | -5.6 |
| 2009 | 0.1 | 1.2 | 0.2 | 0.1 | -0.3 | -1.3 | -1.5 | -0.2 | 0.7 | 0.3 | 0.2 | 0 | -0.6 |
| 2010 | 0.3 | 0.4 | 0.8 | 0.7 | -0.3 | 0.7 | 0.8 | -0.9 | 0.5 | 0.1 | -1.6 | 2.2 | 3.7 |
| 2011 | 0.4 | 0.3 | 0.3 | 1.1 | 0.4 | -0.5 | 1.3 | 0.1 | 0.3 | -0.3 | -0.1 | 0.2 | 3.4 |
| 2012 | 0.9 | 0.3 | 0.4 | -0.2 | -0.5 | 1 | -0.6 | 0.3 | 1.1 | 0.6 | 0.7 | 0 | 4 |
| 2013 | 0.1 | -0.3 | -0.6 | 0.4 | -1.3 | 1.7 | -0.9 | -0.2 | 0 | -1.2 | -0.1 | -1.2 | -3.6 |
| 2014 | 0.6 | -0.1 | -0.5 | 1 | 0.1 | -0.7 | 0.1 | 0 | 0.1 | -0.7 | -0.1 | -0.1 | -0.3 |
| 2015 | 0.8 | 1 | 0.2 | -0.9 | 0.1 | 0 | 0.8 | -0.1 | 0.5 | 0.8 | 0 | 0.1 | 3.4 |
| 2016 | 0.6 | 0.1 | 0.2 | 1.1 | 0.8 | 0.1 | 0.1 | -0.1 | -0.4 | 0.8 | -1.1 | 0.5 | 2.5 |
| 2017 | -0.5 | -0.5 | 0.1 | 0.1 | 0.3 | 0.3 | 1 | -0.1 | -0.1 | -0.1 | 0.5 | -0.1 | 0.6 |
| 2018 | -0.3 | -0.7 | 0.7 | 1.3 | -0.1 | -0.1 | 0.3 | -0.1 | -0.1 | 0.4 | 0.4 | -0.6 | 1.1 |
| 2019 | 0.7 | -0.1 | -0.3 | -0.2 | 0.2 | 0 | 0.5 | 0.1 | 0.7 | -0.1 | 0.1 | 0 | 1.5 |
| 2020 | 0.1 | -2.3 | -0.1 | 0.4 | 0.4 | 0.7 | 0.1 | 0.3 | -0.3 | 0.2 | 0.3 | 0 | -0.2 |
| 2021 | 0.1 | -2.4 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -2.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
